Does more intelligent trading strategy win? Interacting trading strategies: an agent-based approach

Hidayet Beyhan*, Burc Ulengin

*Bu çalışma için yazışmadan sorumlu yazar

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Özet

An artificial financial market is built on the top of Genoa Artificial Stock Market. The market is populated with agents having different trading strategies and they are let to interact with each other. Agents differ in the trading method they use to trade, and they are grouped as noise, technical, statistical analysis, and machine learning traders. The model is validated by replication of stylized fact in financial asset returns. We were able to replicate leptokurtic shape of probability density function, volatility clustering and absence of autocorrelation in asset returns. The wealth dynamics for each agent group is analysed throughout trading period. Agents with a higher time complexity trading strategy outperform those with strategy comparing their final wealth.

Orijinal dilİngilizce
Sayfa (başlangıç-bitiş)54-65
Sayfa sayısı12
DergiJournal of Intelligence Studies in Business
Hacim12
Basın numarası3
DOI'lar
Yayın durumuYayınlandı - 2023

Bibliyografik not

Publisher Copyright:
© 2023,Journal of Intelligence Studies in Business. All Rights Reserved.

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